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Columbia Threadneedle shuts absolute return fund after two years

The Luxembourg-domiciled Threadneedle Diversified Alternative Risk Premia fund had less than $15 million in assets under management when it was closed on 30 November

Columbia Threadneedle shuts absolute return fund after two years

Columbia Threadneedle has liquidated an absolute return fund launched just two-and-a-half years ago after assets dwindled to below a viable level.

The Luxembourg-domiciled Threadneedle Diversified Alternative Risk Premia fund had less than $15 million (£11.7 million) in assets under management when it was closed in late November.

A spokesperson for the company said: 'We constantly review our range of funds and are committed to offering investors the best possible opportunities.

‘Given its current small size and the limited demand for this strategy, we have closed the Threadneedle (Lux) Diversified Alternative Risk Premia fund.

‘We continue to manage over $500 million in segregated alternative risk premia strategies, which are an important part of our solutions offering to clients.’

The spokesperson added that all investors in the fund have redeemed, while there have been no changes to the management team of William Landes, Marc Khalamayzer and Joshua Kutin.

Data from Columbia Threadneedle’s website showed the fund's annualised return in late October having fallen to -13.25%, with performance since inception at -4.63%.

The fund recorded a loss of -2.61% net of fees and trading costs in October. The company said at the time that the underperformance was driven by equity-related risk premia – ‘solely due to the negative impact of the multi-factor portfolio’.

It added: ‘During periods of weak performance, it can be tempting to override the systematic signals that have led us to hold the underperforming positions.

‘Nevertheless, we contend it is important to continue executing this process we trust – which continues to operate within the drawdown expectations of our historical simulations and the level of targeted volatility – and we remain confident that we have a robust and prudent system in place to achieve success over the long term.’

The mandate was launched in July 2016 and employed a multi-strategy approach targeting gross annual outperformance of 7-10% versus the Citigroup three-month US Treasury Bill Index – alongside volatility of 7.5% – measured over a three-year cycle.

Its creation came amid the launch of a spate of other absolute return funds, and hours after BMO Global Asset Management unveiled its multi-strategy Global Absolute Return Bond fund.

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